I'll start (and let's see if anyone joins in).
One of my favourites is Jim.

There's his obvious likability - he is notoriously charming, and instinctively finds the right approach to people; he is caring; he thinks on his feet.

He's also a bundle of contradictions.
He tries to rescue and protect people - by luring them into what he knows is a trap.
He projects confidence - but knows that when push comes to shove, he is pretty much powerless to do anything.
He hates the pit fights - but keeps attending them.
He is faced with the consequences of his actions (ie. the deaths of those he tried to help) - but keeps bringing more people to the Dusk.
He meekly takes Wayne's mistreatment - but retains his dignity and sunny attitude. (Or has done so until recently, at any rate.)

Jim is definitely fascinating. Aja's very good at making interesting characters, and you see it in both the writing and how they act in the comic. The early cameo where Jim tells Jen "I'm just here to heckle." is one of my favorite parts.

My favorite character is Bob, he's smart but so humble and nice. He has confidence though, usually being sort of unflappable. I like his dynamic in the group.

Agreed, Bob is amazing. Very understated a lot of the time, which makes his moments of awesome stand out that much more.
Then there's this page, which adds a whole new dimension:
http://true-magic.com/view.php?id=295